Generating random correlation matrices by the simple rejection method: Why it does not work.

Walter Böhm, Kurt Hornik

Publication: Scientific journalJournal articlepeer-review

Abstract

We derive exact and asymptotic formulas for the probability that a symmetric n×n matrix with unit diagonal and upper diagonal elements i.i.d. uniform on (−1,1) is positive definite (and thus a “random correlation matrix”): this is almost never the case for n≥6.
Original languageEnglish
Pages (from-to)27 - 30
JournalStatistics and Probability Letters
Volume87
DOIs
Publication statusPublished - 2014

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